Arbitrage-free market models for option prices: the multi-strike case
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 12 (2008)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60H - - - - - -
- 91B - - - - - -
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin, 2007.
"An Hilbert space approach for a class of arbitrage free implied volatilities models,"
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- Tehranchi, Michael R., 2009. "Symmetric martingales and symmetric smiles," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3785-3797, October.
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